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A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages

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Cited by:

  1. Tsangyao Chang, 2001. "Are there any long-run benefits from international equity diversification for Taiwan investors diversifying in the equity markets of its major trading partners, Hong Kong, Japan, South Korea, Thailand," Applied Economics Letters, Taylor & Francis Journals, vol. 8(7), pages 441-446.
  2. Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 454-479, September.
  3. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  4. Wu, Ying, 2001. "Exchange rates, stock prices, and money markets: evidence from Singapore," Journal of Asian Economics, Elsevier, vol. 12(3), pages 445-458.
  5. P Sakthivel, 2012. "Interlinkages among Asian, European and the U.S Stock Markets: A Multivariate Cointegration Analysis," Journal of Economics and Behavioral Studies, AMH International, vol. 4(3), pages 129-141.
  6. Climent, Francisco & Meneu, Vicente, 2003. "Has 1997 Asian crisis increased information flows between international markets," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 111-143.
  7. Tsangyao Chang & Yang-Cheng Lu, 2006. "Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle," Economics Bulletin, AccessEcon, vol. 7(4), pages 1-7.
  8. Christos Floros, 2005. "Price Linkages Between the US, Japan and UK Stock Markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(2), pages 169-178, August.
  9. repec:ebl:ecbull:v:3:y:2007:i:45:p:1-11 is not listed on IDEAS
  10. Al Nasser, Omar M. & Hajilee, Massomeh, 2016. "Integration of emerging stock markets with global stock markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 1-12.
  11. Bappaditya Mukhopadhyay, 2009. "Financial Market Integration," Review of Market Integration, India Development Foundation, vol. 1(1), pages 37-60, April.
  12. Mohamed El Hedi Arouri, 2006. "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(2), pages 70-94, December.
  13. Mohamed, Hazik & Masih, Mansur, 2017. "Stock market comovement among the ASEAN-5 : a causality analysis," MPRA Paper 98781, University Library of Munich, Germany.
  14. Vo, Xuan Vinh, 2009. "International financial integration in Asian bond markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 90-106, January.
  15. Ady Soejoto & Waspodo Tjipto Subroto & Suyanto, 2015. "Fiscal Decentralization Policy in Promoting Indonesia Human Development," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 763-771.
  16. Buerhan Saiti & Azlan Ali & Naziruddin Abdullah & Sulaiman Sajilan, 2014. "Palm Oil Price, Exchange Rate, and Stock Market: A Wavelet Analysis on the Malaysian Market," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 2(1), pages 13-27.
  17. Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, vol. 38(2), pages 381-409, June.
  18. Johansson, Anders C. & Ljungwall, Christer, 2009. "Spillover Effects Among the Greater China Stock Markets," World Development, Elsevier, vol. 37(4), pages 839-851, April.
  19. Lee, Hyunchul & Cho, Seung Mo, 2017. "What drives dynamic comovements of stock markets in the Pacific Basin region?: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 314-327.
  20. Chan, Tze-Haw & Baharumshah, Ahmad Zubaidi, 2003. "Measuring Capital Mobility in the Asia Pacific Rim," MPRA Paper 2208, University Library of Munich, Germany, revised 2004.
  21. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, University Library of Munich, Germany.
  22. Kuan-Min Wang, 2013. "Did Vietnam stock market avoid the “contagion risk” from China and the U.S.? The contagion effect test with dynamic correlation coefficients," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(4), pages 2143-2161, June.
  23. Rousova, Linda, 2009. "Are the Central European Stock Markets Still Different? A Cointegration Analysis," Discussion Papers in Economics 10993, University of Munich, Department of Economics.
  24. Ostermark, Ralf, 2001. "Multivariate cointegration analysis of the Finnish-Japanese stock markets," European Journal of Operational Research, Elsevier, vol. 134(3), pages 498-507, November.
  25. Jian Yang & James Kolari & Guozhong Zhu, 2005. "European public real estate market integration," Applied Financial Economics, Taylor & Francis Journals, vol. 15(13), pages 895-905.
  26. Simon Sosvilla-Rivero & Pedro Rodriguez, 2010. "Linkages in international stock markets: evidence from a classification procedure," Applied Economics, Taylor & Francis Journals, vol. 42(16), pages 2081-2089.
  27. Tsangyao Chang & Yu-Chen Wei & Yang-Cheng Lu, 2007. "An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan," Economics Bulletin, AccessEcon, vol. 3(45), pages 1-11.
  28. Gagari Chakrabarti, 2011. "Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region," Journal of Asset Management, Palgrave Macmillan, vol. 12(3), pages 172-184, August.
  29. Sheng-Yung Yang, 2007. "Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 837-853.
  30. Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014. "Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis," MPRA Paper 57064, University Library of Munich, Germany.
  31. Hsu-Ling Chang & Chi-Wei Su, 2010. "The relationship between the Vietnam stock market and its major trading partners - TECM with bivariate asymmetric GARCH model," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1279-1283.
  32. Zhong, Ming & Chang,Tsangyao & Tzeng, Han-Wen, 2014. "International Equity Diversification Between the United States and Brics Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 123-138, March.
  33. Pratap Chandra Biswal & Prabir Kumar Mohanty, 2006. "Wavelet Analysis of Price and Volatility Spillovers in Stock Markets: The Case of India and the US," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 4(2), pages 1-13, July.
  34. Ghazi Al-Assaf & Bashier Al-Abdulrazag, 2015. "The Validity of Export-Led Growth Hypothesis for Jordan: A Bounds Testing Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 5(1), pages 199-211.
  35. repec:ebl:ecbull:v:7:y:2006:i:4:p:1-7 is not listed on IDEAS
  36. Anders C Johansson & Christer Ljungwall, 2006. "Spillover Effects among the Greater China Region Stock Markets," Microeconomics Working Papers 22046, East Asian Bureau of Economic Research.
  37. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.
  38. Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014. "Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia," MPRA Paper 56987, University Library of Munich, Germany.
  39. Frank Westermann, 2002. "Stochastic Trends and Cycles in National Stock Market Indices: Evidence from the U.S., the U.K. and Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 317-328, September.
  40. Chang, Tsangyao & Caudill, Steven B., 2006. "A note on the long-run benefits from international equity diversification for a Taiwan investor diversifying in the US equity market," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 57-67.
  41. Buerhan Saiti, 2017. "The Lead-Lag Relationship among East Asian Economies: A Wavelet Analysis," International Business Research, Canadian Center of Science and Education, vol. 10(3), pages 57-68, March.
  42. Gholamreza Zandi & Muhammad Usman Javaid & Urooj Anwar & Muhammad Umar Islam, 2019. "Which Stock Exchange Leads the Other: Comparison Between US, Australia, Euro Zone and UK," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(5), pages 250-261, August.
  43. Khan Masood Ahmad & Shahid Ashraf & Shahid Ahmed, 2005. "Is the Indian Stock Market Integrated with the US and Japanese Markets?," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 6(2), pages 193-206, September.
  44. Chan Leong, Su & Felmingham, Bruce, 2003. "The interdependence of share markets in the developed economies of East Asia," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 219-237, April.
  45. Rahmatina A. Kasri & Salina Hj. Kassim, 2009. "Empirical Determinants of Saving in the Islamic Banks: Evidence from Indonesia المحددات التجريبية للادخار في البنوك الإسلامية: أدلة من إندونيسيا," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 22(2), pages 181-201, July.
  46. Shahbaz, Muhammad & Chaudhary, A.R. & Ozturk, Ilhan, 2017. "Does urbanization cause increasing energy demand in Pakistan? Empirical evidence from STIRPAT model," Energy, Elsevier, vol. 122(C), pages 83-93.
  47. Buerhan Saiti & Mansur Masih, 2016. "The Co-movement of Selective Conventional and Islamic Stock Indices: Is there any Impact on Shariah Compliant Equity Investment in China?," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1895-1905.
  48. Amitava Sarkar & Gagari Chakrabarti & Chitrakalpa Sen, 2009. "Indian stock market volatility in recent years: Transmission from global market, regional market and traditional domestic sectors," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 63-71, April.
  49. Hwahsin Cheng & John Glascock, 2005. "Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 343-357, June.
  50. Asjeet S. Lamba & Isaac Otchere, 2001. "An Analysis of the Dynamic Relationships Between the South African Equity Market and Major World Equity Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 5(3), pages 201-224, September.
  51. Saiti, Buerhan & Masih, Mansur, 2014. "The Co-movement of Selective Conventional and Islamic Stock Markets in East Asia: Is there any Impact on Shariah Compliant Equity Investment in China?," MPRA Paper 56992, University Library of Munich, Germany.
  52. M. Shabri Abd. Majid & Ahamed Kameel Mydin Meera & Mohd. Azmi Omar & Hassanuddeen Abdul Aziz, 2009. "Dynamic linkages among ASEAN‐5 emerging stock markets," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 4(2), pages 160-184, April.
  53. Souhir Chlibi & Fredj Jawadi & Mohamed Sellami, 2016. "Analyzing Heterogeneous Stock Price Comovements Through Hybrid Approaches," Open Economies Review, Springer, vol. 27(3), pages 541-559, July.
  54. Fondja Wandji, Yris D., 2013. "Energy consumption and economic growth: Evidence from Cameroon," Energy Policy, Elsevier, vol. 61(C), pages 1295-1304.
  55. W. N. W. Azman-Saini & M. Azali & M. S. Habibullah & K. G. Matthews, 2002. "Financial integration and the ASEAN-5 equity markets," Applied Economics, Taylor & Francis Journals, vol. 34(18), pages 2283-2288.
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